Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 3 | 1 | 2 |
| Score | -4.47 | -5.18 | -5.56 |
| Market Cap (Millions USD) | 178.07 | 125.14 | 125.45 |
| Predicted Beta | 0.43 | 0.43 | 0.44 |
| Idiosyncratic Volatility | 1.88 | 2.2 | 2.93 |
Annualized return and volatility
| ADRE | |
|---|---|
| Annualized Return | 0.1004 |
| Annualized Std Dev | 0.2894 |
| Annualized Sharpe (Rf=0%) | 0.3470 |
Row
Daily Return Statistics
| ADRE | |
|---|---|
| Observations | 4381.0000 |
| NAs | 733.0000 |
| Minimum | -0.1592 |
| Quartile 1 | -0.0071 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0090 |
| Maximum | 0.2506 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0011 |
| Variance | 0.0003 |
| Stdev | 0.0182 |
| Skewness | 0.3797 |
| Kurtosis | 16.0101 |
Downside Risk
| ADRE | |
|---|---|
| Semi Deviation | 0.0129 |
| Gain Deviation | 0.0137 |
| Loss Deviation | 0.0142 |
| Downside Deviation (MAR=210%) | 0.0172 |
| Downside Deviation (Rf=0%) | 0.0127 |
| Downside Deviation (0%) | 0.0127 |
| Maximum Drawdown | 0.6428 |
| Historical VaR (95%) | -0.0270 |
| Historical ES (95%) | -0.0431 |
| Modified VaR (95%) | -0.0215 |
| Modified ES (95%) | -0.0215 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2008-11-20 | 2018-01-24 | -0.6428 | 2620 | 273 | 2347 |
| 2018-01-29 | 2018-12-24 | NA | -0.2701 | 490 | 233 | NA |
| 2006-05-10 | 2006-06-13 | 2006-11-22 | -0.2680 | 140 | 24 | 116 |
| 2007-07-24 | 2007-08-16 | 2007-09-18 | -0.1946 | 41 | 18 | 23 |
| 2004-03-02 | 2004-05-17 | 2004-11-05 | -0.1898 | 176 | 55 | 121 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ADRE | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2001 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2002 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.0 | 0.0 | NA |
| 2003 | 0.0 | 0.0 | 0.5 | 0.0 | 0.0 | 1.2 | -10.1 | 0.0 | 2.4 | 0.0 | 2.4 | 0.0 | -4.1 |
| 2004 | 0.0 | 2.9 | 1.1 | 0.0 | -0.7 | -0.5 | 0.0 | 1.1 | 2.8 | 0.3 | 1.4 | 0.0 | 8.6 |
| 2005 | 0.8 | -0.6 | 0.9 | 0.0 | 0.9 | 0.3 | 1.3 | 1.4 | 0.0 | 1.4 | 2.3 | 0.0 | 9.1 |
| 2006 | -0.2 | 2.7 | 0.0 | 0.8 | 2.0 | 0.0 | -1.3 | 1.6 | 0.0 | -0.4 | -0.8 | 0.0 | 4.4 |
| 2007 | 1.4 | -1.3 | 0.0 | 0.4 | 2.3 | 0.0 | -1.6 | 0.0 | 3.8 | -3.6 | 0.0 | 0.0 | 1.1 |
| 2008 | 2.3 | 0.0 | 4.2 | 1.1 | 0.0 | -1.3 | -1.3 | 0.0 | -0.7 | 0.0 | -10.1 | 0.0 | -6.3 |
| 2009 | 0.0 | 0.0 | 3.8 | 2.0 | 3.8 | 1.5 | 0.0 | -2.1 | -2.9 | 0.0 | 2.7 | 0.0 | 8.8 |
| 2010 | 2.6 | 1.5 | 2.1 | 0.0 | -1.1 | 0.4 | 0.0 | 3.2 | 1.4 | 1.0 | 2.4 | 0.0 | 14.1 |
| 2011 | 2.2 | -0.8 | 1.3 | 0.0 | -1.5 | 1.2 | 0.4 | 0.0 | 0.0 | -2.4 | 0.6 | 0.0 | 0.9 |
| 2012 | 2.0 | 1.3 | 0.0 | 0.6 | -2.4 | 0.0 | 0.2 | 0.0 | 0.8 | 1.4 | 0.0 | 0.0 | 3.8 |
| 2013 | 1.0 | 0.1 | -0.8 | -1.1 | 0.0 | 0.2 | 1.4 | 0.0 | 1.5 | -0.1 | 0.0 | 0.0 | 2.1 |
| 2014 | 0.0 | 0.0 | 1.2 | -0.1 | 0.0 | 1.0 | 0.0 | 0.0 | -2.5 | 0.0 | -2.6 | 0.0 | -3.0 |
| 2015 | 0.0 | 0.0 | 1.1 | 0.5 | 0.0 | -0.7 | 0.0 | -3.0 | 0.1 | 0.0 | 1.1 | 0.0 | -1.0 |
| 2016 | 0.0 | 3.5 | 0.2 | 0.0 | -0.3 | 0.4 | 0.3 | 0.5 | 0.0 | -1.3 | -2.8 | 0.0 | 0.3 |
| 2017 | 0.3 | 1.2 | 0.0 | 0.6 | 0.7 | 0.0 | 0.5 | 0.5 | 0.0 | 0.4 | -0.6 | 0.0 | 3.7 |
| 2018 | -1.0 | -1.3 | 0.0 | 0.0 | 1.5 | 0.0 | -1.0 | 0.0 | 0.1 | 3.1 | 0.0 | 0.0 | 1.4 |
| 2019 | 0.0 | 0.0 | 1.0 | 0.4 | 0.0 | 2.0 | -2.1 | 0.0 | -0.3 | 1.1 | 0.0 | -0.6 | 1.5 |
Row
Rolling Performance Chart
Snail Trail Chart
